Hi all,
Does any of you have an idea about how high the value of GRS should be in the test of models such as Fama French. I got the F-test at around 9-10 but when look at the literature most people report below 5. I am a bit confused as I am new to this area.
Thanks,
QH
Search found 4 matches
- Fri Apr 08, 2016 7:36 am
- Forum: Econometric Discussions
- Topic: GRS F-Test or Gibbons, Ross and Shanken (1989)
- Replies: 1
- Views: 5826
- Tue May 13, 2014 9:21 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 348970
Re: Fama-MacBeth regression
He Rebecca,
Sorry for disturbing again but I cannot do it. Attached is what I did - correct me if I am wrong anywhere.
Do I need to change the coding or simply download the add-in from the site using Eviews's "Download add-ins" ?
Thanks,
QH
Sorry for disturbing again but I cannot do it. Attached is what I did - correct me if I am wrong anywhere.
Do I need to change the coding or simply download the add-in from the site using Eviews's "Download add-ins" ?
Thanks,
QH
- Tue May 13, 2014 9:01 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 348970
Re: Fama-MacBeth regression
Hi Rebecca, Thank you. But even if I exclude the first two rows, the add-in still shows error message when running. Please could you help check? Just to make sure: when we enter the data to the list of portfolio/asset returns, we simply list them like this: p1 p2 p3 p4...p9 and the same with list of...
- Tue May 13, 2014 8:39 am
- Forum: Add-in Support
- Topic: Fama-MacBeth regression
- Replies: 157
- Views: 348970
Re: Fama-MacBeth regression
Hello, I am new to this. I have tried to run the Fama-Macbeth add-in but it fails every time - I don't know why. I attach the sample used in here with factors including Rf,MK, F1..F3 and excess portfolio returns from P1...P18. Can anyone help instruct how to run the regression with this sample? Than...